Explore a preview version of market risk analysis volume ii practical financial econometrics right now oreilly members get unlimited access to live online training experiences plus books videos and digital content from 200 publishers. Written by leading market risk academic professor carol alexander practical financial econometrics forms part two of the market risk analysis four volume set it introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition emphasising the areas of econometrics such as garch cointegration and copulas that are required for resolving . Volume ii practical financial econometrics carol alexander john wiley sons ltd contents list of figures xiii 112 principal component analysis 47 1121 introduction 47 1168 market risk applications 290. Ii2 principal component analysis ii21 introduction this chapter introduces the statistical factor models that are based on principal component analysis pca and that are commonly applied to model the returns selection from market risk analysis volume ii practical financial econometrics book